Python commands listed in the info area do not exist
One reason context.space_data in the console isn't working is because of, well, the context. space_data is of the type Space(see here). When you're adjusting the grid scale, the space_data for the screen area 'VIEW_3D'. When you're typing in the console, the screen area is 'CONSOLE', so the 3D view properties aren't available because the context is wrong. Not to mention, getting the space_data that way is read-only.

One way to change the grid scale is this:

for area in bpy.context.screen.areas:
    if area.type == 'VIEW_3D':
        area.spaces.active.grid_scale = 0.01


Resources: Space, Area

It's also helpful to look at the tooltips when hovering over the button/property, as they provide information as well.